What Effect Does Mean Reversion Have on the Shape of the Implied

question 6

Essay

What effect does mean reversion have on the shape of the implied forward volatility curve?

---

Definitions:

Original Equipment Manufacturer

An entity that produces parts and equipment that may be marketed by another manufacturer.

Producer

An individual, group, or organization that creates goods or provides services, typically for sale.

Business Customers

Organizations that purchase goods or services for use in the production of other services or products that are sold, rented, or supplied to others.

Institutional Buy

A purchase made by an institution or organizational entity, often involving large quantities of items or significant investment.